Data Dictionary
Item Number 6513
IMPACT OF HEDGING ACTIVITY (ASSETS) - FUTURES AND FIRM COMMITMENTS TO SELLCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6513 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the dollar amount of interest-rate futures contracts that are hedging assets. Also includes the bond equivalent yields (BEY) associated with the hedging activities/transactions in item 7235. (See item 6512 para. 2.) If the institution has more than one hedge position with different BEYS, the weighted average BEYS of these hedge positions is used.
Example: Assume the institution sold Treasury bond futures contracts at a price of 80 (bond equivalent yield at 10.4%) which were intended to synthetically shorten an asset with a remaining maturity of more than 20 years. Also, assume that the institution sold a Eurodollar futures contract ($1,000,000 par amount) at a discount yield of 8.0%. For the Treasury bond futures, the - $1,000,000 is reported in the More Than 20 Years maturity/repricing column (Line H519) and the 10.4% is reported on Line H546. For the Eurodollar future, the - $1,000,000 is reported in the More Than Three Months Through Six Month maturity/repricing column (Line H513) and the 8.0% is reported in Line H540. The entry of $2,000,000 is reported on the Three Months or Less maturity/repricing column in Line H512. The bond equivalent yield for a 90-day Treasury bill at the reporting date is reported on Line H539.
Includes the dollar amount of all firm commitments to sell, at a fixed interest rate, loans, securities or other interest rate sensitive instruments on the balance sheet. Commitments to sell are shown by entering a negative dollar amount in the maturity/repricing column that corresponds to the term of the commitment plus the estimated contract maturity. Recorded is the interest rate at which the firm commitment has been set (i.e., the coupon rate on the mortgage loans, securities or other interest rate sensitive instruments committed for sale). Also recorded is a positive dollar amount in the maturity/repricing column corresponding to the time at which the sale occurs. The bond equivalent yield for a Treasury security corresponding to the length of time of the commitment (e.g., 90-day Treasury bills for a 90-day firm commitment is recorded.
The total impact of all hedging activities/transactions for all maturity/repricing columns combined, must be zero and reported in the Total column (Line H520). (Note: H512+H513+H514+H515+H516+H517+H518+H519+ = H520 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.